There are plenty of privilege escalation vulnerabilities in Linux / Unix (e.g. with CUPS etc), but they have not been exploited in the wild. Probably also a bunch in OS X, but the security patches that Apple release give little in the way of information (how's that for FUD)
Stuxnet was a spear-fishing attack. If the intended target had been using Macs then exploits would have been found on the OS X platform.
Mac OS X Lion is about to be released and Snow Leopard has only had 2 elevation of privileges vulnerabilities (EoP - the type of privilege escalation vulnerability that allows system level access) since bing released.
It is not that researchers are not looking. These local exploits are used in iOS jailbreaks, yet those vulnerabilities have not been affecting OS X. The vulnerabilities are often found in kernel components not unique to iOS. But, the two platforms do use somewhat different implementations of security mitigations so this is the most likely explanation.
Also, most EoP vulnerabilities are leveraged by manipulating the Windows registry, including those win32k.sys vulnerabilities in the link in my previous post. OS X does not utilize a system that stores settings for kernel drivers that is exposed to users like the Windows registry.
It is possible that such an attack could be performed on a Mac. But, the low incidence rate of EoP vulnerabilities makes it much more difficult and definitely unlikely to be used in malware in comparison to that potential in Windows.
This type of malware has been seen in malware in the wild for Windows for attacks much like more typical malware, such as Tigger/Syzor, rather than Stuxnet. The much higher incidence rate of EoP vulnerabilities in Windows along with documentation and tools to turn them into exploits increases the likelihood of this type of malware occurring in the wild that targets the average computer user.